Is C++ certificate or grade from a college course a "must" requirement for MFE programs?

J

Jae Sang Shim

C++ Certificate
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10/23/14
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Hello!

The title says it all, is a certificate or grade from a course a "must"?

That is, is any documented report of studying programming absolutely needed?

I am familiar (that is, not that good..) with C, VBA and currently studying C++ on my own.

I can do MC simulation and vanilla option pricing with FDM, delta hedge simulation, etc.,

but not so familiar with OOP style.. I can understand them but not so good in making them

since I don't have much experience of it. (which is exactly the reason why I'm studying Duffy !)

But I don't have any documented report of studying programming..

Would sending my undergrad graduate paper containing some programming contents

do enough?


I'm an international student, with GRE of 161/170/4.0 (slightly above the average of admitted students in

top MFE programs), TOEFL of 114, GPA of 3.68 (expected 3.7 after this semester),

major in business and minor in mathematics with relevant coursework ,

no work experience except for serving as a translator while in the military, working in a foreign dispatch unit,

and currently serving as the vice president in a (large scale) FE studying group.

I tried to be specific as possible - any answers would be greatly be appreciated! :)
 
major in business and minor in mathematics with relevant coursework
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What coursework did you take in the areas of mathematics/statistics/finance/computer science?
 
mhy said:
What coursework did you take in the areas of mathematics/statistics/finance/computer science?
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Financial management, Theory of Microfinance, Financial Derivatives (from business school)
Statistics,
Financial Mathematics I & II, Introduction to Stochastic Diff. Equation, and ODE (from mathematics)
 
Daniel Duffy said:
currently studying C++ on my own.

How is that process going?
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I am studying your book, 1/3 through, (it is a really nice book, thanks for writing it)

and I am trying to include a fdm pricing and delta calculation of an

ELS with conditional early redemption and KI option

(and possibly delta hedging simulation) in my undergrad graduate paper

But it will be rather case-specific, hard-coded one I think
 
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Which university are you attending? I would suggest to write a Bachelor Thesis where you implement a numerical scheme (such as FDM) in C++ (or MATLAB) to evaluate an option if your university gives you this option. This should be sufficient proof of your programming capabilities to get you into MFE programs, where you can further develop your programming skills.
 
Ole Bueker said:
Which university are you attending? I would suggest to write a Bachelor Thesis where you implement a numerical scheme (such as FDM) in C++ (or MATLAB) to evaluate an option if your university gives you this option. This should be sufficient proof of your programming capabilities to get you into MFE programs, where you can further develop your programming skills.
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That is what I am trying to do write now :) So it would be a sufficient proof?

I should get to finish those codes right away :)
 
As long as you do a good job with it, sure..it shows that you can apply programming knowledge to financial applications, which is exactly what will be required of you later on at work. Just be prepared to be able to talk about your work in interviews.
 
Ole Bueker said:
As long as you do a good job with it, sure..it shows that you can apply programming knowledge to financial applications, which is exactly what will be required of you later on at work. Just be prepared to be able to talk about your work in interviews.
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Of course! Thanks again :)

btw I didn't see your question in the first reply .. I'm currently a student in Seoul National University in South Korea :)
 
Jae Sang Shim said:
I am studying your book, 1/3 through, (it is a really nice book, thanks for writing it)

and I am trying to include a fdm pricing and delta calculation of an

ELS with conditional early redemption and KI option

(and possibly delta hedging simulation) in my undergrad graduate paper

But it will be rather case-specific, hard-coded one I think
Click to expand...

One approach is to adapt my C++ code to your particular example.
 
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